Background While migraines have been associated with emotional disturbances, it remains unknown whether the intensity of emotional expression is directly related to migraine frequency. Objective The present study investigated depression/anxiety among migraineurs. Methods This cross‐sectional study included 588 clinical outpatients in Taiwan. Migraines were stratified by attack frequency, with and without auras, and with well‐controlled confounding variables. Demographic and clinical data, including sleep characteristics, were collected. Multivariable linear regressions were employed to examine whether migraine frequency (1‐4 headache days per month, 5‐8 headache days per month, 9‐14 headache days per month, or >14 headache days per month) was associated with depression/anxiety symptoms, as indicated by the Beck's Depression Inventory (BDI) and Hospital Anxiety and Depression Subscales (HADS). Results BDI total scores were highest in patients with chronic migraines (mean ± SD: 13.2 ± 8.5), followed by those with high frequency (12.1 ± 8.5), medium frequency (10.6 ± 8.0), low frequency (9.1 ± 7.1), and lowest in nonmigraine controls (6.6 ± 5.9), with a significant trend in frequency ( P trend < .001); similar results were obtained for HADS scores. BDI and HADS scores were independently related to high‐frequency episodic and chronic migraine frequency and to poor sleep quality. The relationship between BDI score and migraine frequency was present in both aura‐present ( P trend = .001) and aura‐absent subgroups ( P trend = .029). Conclusion Higher migraine frequency, either with or without auras, correlated with higher symptom scores of anxiety and depression.